I've implemented the L-S algorithm for a simple put option. I want to value a more complex derivative which has future conditional coupons which only occur if the option is in the money. How would I incorporate that feature into my model?
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$\begingroup$ How have you implemented it for a put option? if you orthogonalize the payoff and path generation code then it should become more obvious. $\endgroup$– willMay 20, 2019 at 21:32
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$\begingroup$ @will I’ve done that exactly. So I need the discounted cash flow at the next time step if the put is not exercised at the given time step. How would I incorporate future potential coupons? $\endgroup$– John DoeMay 20, 2019 at 21:38
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